WM Options History — February 2010

In February 2010, WM traded between $31.40 and $33.38. ATM implied volatility averaged 25.9%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.9% (HV 20d: 20.1%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-02-18: Highest Volume — 14,293 contracts
  • 2010-02-11: Largest IV drop — 20.7% change
  • 2010-02-08: Highest IV Rank — 5.6%
  • 2010-02-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.48$31.40$33.38$32.18$33.02
Max Pain$32.50$32.50$32.50$32.50$32.50
ATM IV25.9%18.4%35.9%31.0%18.4%
Expected Move7.1%5.3%9.1%8.9%5.3%
HV 20d20.1%18.9%21.1%18.9%20.2%
HV 60d18.3%17.6%19.0%18.9%18.0%
IV Rank2.8%0.8%5.6%4.2%0.8%
IV Percentile26.6%2.4%50.8%47.2%2.4%
Term Structure-0.9%-4.7%1.6%-4.7%1.2%
VWIV25.3%18.4%32.6%31.7%18.4%
Skew 25d5.3%2.0%8.8%5.5%8.0%
Skew 10d9.3%1.5%13.9%12.2%13.0%
Call IV 25d23.0%13.2%31.7%29.4%13.9%
Put IV 25d28.3%21.5%37.0%34.8%21.8%
Bid-Ask Spread %15.948.3026.2716.7912.15
Gamma HHI0.330.250.480.250.42
Net GEX2.6M801.5K4.4M1.3M4.1M
Net DEX-68.8M-101.2M-35.2M-50.9M-95.5M
Net VEX-617.8K-669.7K-556.2K-624.6K-668.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.082.291.062.17
Total Volume3,979.42156214,2932,860865
Total OI98,713.89590,745107,66794,83398,713

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$32.18$32.5031.0%8.9%18.9%4.2%31.7%5.5%-4.7%1.3M-50.9M-624.6K1.0616.79N/AN/A1,3901,47061,76633,067
2010-02-02$32.51$32.5030.3%8.7%18.9%4.1%30.2%5.4%-4.1%1.7M-61.3M-626.5K0.4713.81N/AN/A1,38365562,43733,290
2010-02-03$32.47$32.5030.3%8.7%18.9%4.1%30.4%5.0%-4.4%1.7M-60.1M-630.9K0.5014.41N/AN/A37418862,94133,424
2010-02-04$31.81$32.5031.8%9.1%19.9%4.5%32.6%5.3%-4.7%1.1M-44.4M-620.6K0.408.30N/AN/A1,23248763,14333,456
2010-02-05$31.82$32.5032.9%8.1%19.8%4.7%30.2%5.6%-1.2%1.1M-44.4M-621.1K1.2416.54N/AN/A68785363,42333,651
2010-02-08$31.40$32.5035.9%8.2%19.9%5.6%31.8%5.5%-2.3%801.5K-35.2M-603.8K2.2916.80N/AN/A1,2432,84163,80834,011
2010-02-09$32.06$32.5034.6%7.9%21.0%5.2%28.2%5.8%-1.3%1.6M-51.6M-610.3K0.1516.86N/AN/A1,59023164,70433,497
2010-02-10$31.92$32.5032.1%7.6%20.7%4.5%27.6%5.6%-0.9%1.5M-48.6M-605.1K0.9813.98N/AN/A2,0762,03264,89133,679
2010-02-11$31.93$32.5025.4%7.3%20.7%2.7%25.4%5.3%-0.5%1.7M-48.9M-609.6K0.1926.27N/AN/A3,23861366,02734,736
2010-02-12$31.83$32.5026.0%7.5%20.6%2.9%28.7%5.7%-1.0%1.8M-49.8M-621.1K0.9624.16N/AN/A1,9161,84267,66934,909
2010-02-16$32.90$32.5022.9%6.6%21.1%2.0%24.5%5.8%-0.5%4.1M-81.9M-603.3K1.1323.64N/AN/A2,2202,51367,74135,791
2010-02-17$33.00$32.5021.9%6.3%19.8%1.7%22.1%4.6%0.4%4.4M-87.1M-600.7K0.5814.99N/AN/A1,8111,05268,07835,759
2010-02-18$32.90$32.5021.0%6.0%19.7%1.5%21.0%4.7%0.5%4.4M-87.3M-556.2K0.0816.00N/AN/A13,2781,01568,37936,565
2010-02-19$33.38$32.5020.6%5.9%19.3%1.4%20.7%5.3%1.2%3.0M-101.2M-581.6K0.7916.89N/AN/A4,8743,83670,46537,202
2010-02-22$33.36$32.5019.5%5.6%19.1%1.1%19.5%4.5%1.3%3.1M-93.6M-626.6K0.1710.32N/AN/A4,59379465,85724,888
2010-02-23$32.62$32.5020.5%5.9%20.7%1.3%20.6%2.0%0.6%3.4M-81.3M-628.4K1.0418.15N/AN/A54756769,39525,097
2010-02-24$32.92$32.5018.6%5.3%20.9%0.8%18.6%2.0%1.6%3.8M-89.7M-629.9K0.2911.98N/AN/A6,1951,77869,44625,226
2010-02-25$33.03$32.5019.3%5.5%20.9%1.0%19.3%8.8%1.1%4.0M-94.7M-669.7K0.4010.93N/AN/A2,37495672,25226,181
2010-02-26$33.02$32.5018.4%5.3%20.2%0.8%18.4%8.0%1.2%4.1M-95.5M-668.7K2.1712.15N/AN/A27359271,98826,725